Indexology^® Blog

While the market offers many dividend strategies, few incorporate dividend forecasts to provide a forward-looking assessment. The S&P 500^® High Dividend Growth Index utilizes the industry-leading S&P Global Dividend Forecasting dataset to select constituents from the S&P 500 that are projected to have the highest dividend yield growth. This innovative index applies a unique methodology, tracking companies based on a dividend growth score calculated by subtracting 12-month trailing yield from the 12-month forecasted yield.

Launched on Oct. 23, 2023, the S&P 500 High Dividend Growth Index has made a strong start, outperforming other well-known dividend indices. Furthermore, it has historically shown higher dividend yields and dividend growth rates than The 500™.

In this blog, we will examine the historical characteristics of this index, including its risk/return profile, dividend yield and dividend growth rate. We will also assess its dividend contributions over time and review its sector allocations throughout the years.

Performance since Launch

The S&P 500 High Dividend Growth Index has outperformed other leading dividend strategies both YTD and since its launch, posting returns of 5.75% and 30.51% over those periods, respectively. Exhibit 1 shows that in 2024, the index posted strong performance with a 16.26% return, outperforming most dividend strategies.

Similarly, the S&P 500 High Dividend Growth Index has exhibited solid performance in line with its benchmark, which is not an easy feat given the recent strong performance of mega-cap stocks.

Long-Term, Back-Tested Performance

Since 2010, which includes back-tested performance, the S&P 500 High Dividend Growth Index has posted a robust annualized return of 13.54% and a risk-adjusted return of 0.75. The S&P 500 High Dividend Growth Index’s performance has closely aligned with The 500, a notable achievement given the dominance of growth-oriented stocks over the past decade (see Exhibit 2).

Dividend Yield

As shown in Exhibit 3, the dividend yield of the S&P 500 High Dividend Growth Index consistently outpaced the dividend yield of The 500 from 2011 to 2025. On average, the S&P 500 High Dividend Growth Index’s dividend yield was 3.09%, outperforming The 500’s dividend yield (of 1.82%) by 1.27%.

Dividend Growth Rate

From 2011 to 2025, the S&P 500 High Dividend Growth Index and The 500 grew their dividends at annual rates of 10.6% and 8.8%, respectively. More recently, from 2023 to 2025, the S&P 500 High Dividend Growth Index’s dividend growth rate was 8.7%, surpassing The 500’s 6.5% rate (see Exhibit 4).

Dividend Contributions

As displayed in Exhibit 5, dividends contributed a greater percentage to the total return of the S&P 500 High Dividend Growth Index than to the total returns of the market-cap and equal-weight benchmarks, as well as style indices like value and growth. Notably, the dividend contributions of the S&P 500 High Dividend Growth Index were 9.8 percentage points higher than those of The 500.

Sector Weights

Exhibit 6 shows how the sector weights of the S&P 500 High Dividend Growth Index have changed over time. On average, the largest sector weights in the index have been Financials, Industrials, Utilities and Information Technology. For a dividend strategy, the weights across the sectors have been overall balanced.

Conclusion

The S&P 500 High Dividend Growth Index combines forward-looking and historical metrics for constituent selection. Its innovative design has historically delivered higher dividend yields and growth rates than its benchmark, all while maintaining strong total returns. Although this index has only been live for just over 12 months, it is noteworthy that it has outperformed similar high dividend yield and dividend growth indices by posting strong returns over this period.

S&P Dow Jones Indices (S&P DJI) has been calculating indices designed to exclude companies with fossil fuel reserves since December 2011, when the S&P Global 1200 Fossil Fuel Reserves Free Index was launched. This index, along with its sub-indices such as the S&P 500^® Fossil Fuel Reserves Free Index, measure the performance of companies in their respective underlying benchmark that do not own fossil fuel reserves. As such, these indices may be considered by investors who seek benchmarks to reflect a strategy that divests from fossil fuel reserves.

In July 2024, S&P DJI launched the S&P/TSX Composite Fossil Fuel Reserves Free Index, furthering the relationship between S&P DJI and TMX Group. Similar to the already available S&P/TSX 60 Fossil Fuel Reserves Free Index, this new benchmark follows the same methodology rules as others in the series, but applies them to the broader universe of the S&P/TSX Composite. The index is a benchmark for the broad Canadian equity market that excludes companies with fossil fuel reserves.

Regarding index construction, stocks from the starting universe, in this case the constituents of the S&P/TSX Composite, are screened as seen in Exhibit 1 to exclude those companies with exposure to fossil fuel reserves. Within this approach, the index uses 2P or “proven and probable” reserves as a proxy for exposure, which are those with more than a 50% probability of being recovered. The index is rebalanced quarterly to ensure regular data updates, and it is float-market-cap weighted in an effort to closely reflect the composition of the benchmark.¹

As a result of applying these screens, the index composition does change slightly when compared to the benchmark, the S&P/TSX Composite. In terms of GICS^® sectors, we observe an underweighting of Energy owing to the fossil fuel reserves exclusions, with a corresponding overweighting of Financials to compensate. There are also other slight overweights across the board (see Exhibit 2).

In terms of constituent make up, the exclusions lead to a slightly greater concentration of the top 10 constituents of the S&P/TSX Composite Fossil Fuel Reserves Free Index versus the benchmark. As Exhibit 3 shows, the top 10 stocks collectively have a greater weighting within the fossil fuel reserves free index, owing to fewer stocks to select from given the applied exclusions.

The index screens out stocks utilizing S&P Global Trucost environmental data specific to fossil fuel reserves. The screening results in a total of 32 stocks being excluded, representing 9.61% of the benchmark weight as of Jan. 29, 2025.

Historically, the index has exhibited similar risk/return characteristics as the benchmark. As shown in Exhibit 4, when looking at back-tested data, the index maintained similar performance to the benchmark over the 10-year period.

The S&P/TSX Composite Fossil Fuel Reserves Free Index also had a relatively low tracking error over the 10-year period, just 0.69% when compared with the benchmark.

In summary, the S&P/TSX Composite Fossil Fuel Reserves Free Index has historically matched the performance of its benchmark closely, while excluding companies with exposure to fossil fuel reserves. With a number of index-based approaches to climate change-related considerations currently available, this index and its broader series represent one strategy where market participants can gauge the performance of companies, while excluding those with exposure to fossil fuel reserves.

¹ For the full methodology, please see: S&P/TSX Fossil Fuel Reserves Free Indices – Methodology

In a world reminiscent of “Blade Runner,” where the quest for new innovative energy technologies mirrors the search for synthetic life, essential metals have become a crucial aspect of the energy transition conversation. The S&P Global Essential Metals Producers Index can play a pivotal role in understanding this transition, as it measures the performance of stocks engaged in the mining or manufacturing of metals deemed essential to energy transition technologies.^1,2

Since its launch in August 2023, the S&P Global Essential Metals Producers Index has underperformed the S&P Global BMI Metals & Mining (Industry) by 15.4%. However, more recently, the index’s performance showed signs of recovery, outperforming the S&P Global BMI Metals & Mining (Industry) in 2024. This positive shift aligned with the increasing performance of the S&P GSCI Copper and the S&P GSCI Aluminum, underscoring the surges in prices for these essential metals. Exhibit 1 summarizes this recent upward trend over the one-year period ending Jan. 31, 2025.

Within this timeframe, the S&P Global Essential Metals Producers Index increased 1.8%, outperforming the S&P Global BMI Metals & Mining (Industry) Index by 1.1%.

A closer examination reveals the impact of copper and aluminum producers on this recent outperformance, as these critical minerals form the backbone of the datacenters that are powering the skyrocketing demand for artificial intelligence.³ Exhibit 2 provides insights into the contributions to the 1.8% return of the S&P Global Essential Metals Producers Index, showcasing the average returns for the top five contributors and detractors among the index’s constituents. It also includes the average return for the five constituents closest to the median return contribution, for reference. The analysis categorizes these constituents based on their primary business products: copper & aluminum; a diverse mix of metals; and lithium & cobalt. The size of the circles indicates the magnitude of the positive contributions to the performance of the S&P Global Essential Metal Producers Index. A larger positive contribution results in a bigger circle, while a larger negative contribution is represented by a smaller circle.

The results indicate that the top five contributors (contributing cumulatively 5.3%), which achieved an average return of 37.1%, focus primarily on copper and aluminum in their mining operations. On the other hand, the top five detractors (detracting cumulatively 4.5%), with an average return of -30.9%, depend on lithium or cobalt, or both, and might have struggled due to recent price declines linked to oversupply of these metals and technological shifts in battery production.^4,5, Interestingly, constituents positioned in the median category exhibited a diverse range of products rather than concentrating on particular metals.

As we progress, it can be intriguing to monitor the S&P Global Essential Metals Producers Index against the backdrop of the ongoing energy transition and technological advancements. The increased importance of essential metals may become a cornerstone of the transition, shaping our energy future. For those interested in further examining S&P DJI’s thematic sustainability indices, additional details can be found in the Sustainability Index Dashboard.

¹ For a thorough overview of the S&P Global Essential Metal Producers Index’s characteristics, see Jalagani, Srineel, “Fueling the Energy Transition: S&P Global Essential Metals Producers Index”, S&P Dow Jones Indices LLC, Oct. 2023.

² See the S&P Thematics Indices Methodology.

³ For further insights, see “See The Big Picture: Themes Shaping 2025”, S&P Global Market Intelligence, 2025.

⁴ For further insights on lithium, see “Lithium and Nickel Salts Price Recovery Faces Uncertainty amid Weak Fundamentals in Q1”, S&P Global Commodity Insights, Jan. 06, 2025.”

⁵ For further insights on cobalt, see “COMMODITIES 2025: Cobalt market oversupply to Ease in 2025”, S&P Global Commodity Insights, Dec. 19, 2024.

In January 2025, the S&P MidCap 400^® Dividend Aristocrats^® celebrated its 10-year anniversary. Reflecting on this milestone, S&P DJI has taken this as an opportunity to compare the performance of this flagship index through two distinct perspectives. The first involves analyzing its performance against a selection of actively managed U.S. value funds from the past 10 years, while the second focuses on comparing it to S&P MidCap 400 broad benchmarks and associated style indices. This blog aims to highlight the strong performance of the S&P MidCap 400 Dividend Aristocrats through both of these analytical lenses over the past decade.

Like other S&P Dividend Aristocrats Indices, the S&P MidCap 400 Dividend Aristocrats follows a simple but stringent metric to select constituents.¹ To be eligible for inclusion, companies must be a member of the S&P MidCap 400 and have raised dividends for a minimum of 15 consecutive years. As a result, the strategy tends to identify companies with financial stability, consistent profitability and disciplined capital allocation. After the latest rebalance on Jan. 31, 2025, the index was tracking 54 companies.

Performance Comparison

As Exhibit 1 shows, over the past decade, the S&P MidCap 400 Dividend Aristocrats outperformed 91.64% of active funds marketed as “value” products that provide U.S. large-, mid-, small- and micro-cap exposure, highlighting its long-term effectiveness versus active strategies in this category. This substantial outperformance ratio speaks to the strategy’s success relative to active managers while adhering to a straightforward yet rigorous methodology. What adds to the significance of this achievement is that the universe does not adjust for sales charges (such as front-end loads, deferred loads and redemption fees) that may be common within active strategies.

Exhibit 2 illustrates the outperformance of the S&P 400 Dividend Aristocrats compared to the S&P 400^® and the S&P MidCap 400 Equal Weight Index, along with the S&P 400 MidCap Value and S&P 400 MidCap Growth, highlighting its strong performance across the entire style box. Notably, the strategy not only exceeded the performance of all indices in absolute terms but also achieved the lowest volatility, resulting in a risk-adjusted return of 0.65 during the period.

Conclusion

The S&P MidCap 400 Dividend Aristocrats’ straightforward yet stringent methodology has been shown to align with sound economic rationale, and the index has consistently outperformed most of the active funds studied here as well as its broad benchmarks and style indices over the decade since its launch. This impressive track record of outperformance shows the resilience of the S&P Dividend Aristocrats Series, while further enhancing its reputation.

1. Please see the index methodology for more information.

The S&P 500^® Momentum Index has been one of the best-performing of all the S&P 500 Factor Indices in the past few years. A closer inspection of the drivers of performance identifies constituent selection as paramount, highlighting the importance of dynamically retreating from the largest of the mega caps in periods when smaller names took the lead.

Launched just over a decade ago, the index tracks the performance of the 100 securities within the S&P 500 that exhibit the greatest persistence in their relative performance.¹ Exhibit 1 shows the cumulative total return of the index since its launch in comparison to The 500™, as well as the cumulative difference. The S&P 500 Momentum Index has performed particularly well in recent years; the index concluded 2024 on a high note, surpassing The 500 by an impressive 21% over the year to reach a cumulative lifetime excess return of 98.6%.

So, what drove such strong performance? Exhibit 2 examines the relative impact of the sector over- and under-weights maintained by the S&P 500 Momentum Index over its history. More specifically, Exhibit 2 compares three return streams: the S&P 500, the S&P 500 Momentum Index and a hypothetical index composed on a monthly basis from S&P 500 sector indices, weighted in the same proportions as the S&P 500 Momentum Index’s sectors. The difference between the first and third indices illustrates the impact of the S&P 500 Momentum Index’s sector weights, while the difference between the second and third indices shows how important stock selection was compared with just sector weights. The analysis shows that there was only a 4.3% difference between The 500 and the hypothetical index, meaning that only marginal excess performance came from sector weights, while nearly 95% of the excess return was driven by constituent selection.²

Drilling down into the particular constituent selections that aided or hindered relative performance over the 10-year period, there was a high degree of concentration in the relative contributions. In fact, the majority of the excess return came from just 10 companies. Exhibit 3 shows constituents that had the highest contribution to the S&P 500 Momentum Index’s excess return performance and indicates whether the index under or overweighted these stocks (on average).

A cursory glance at the names in Exhibit 3 identifies some familiar names, especially to those who have been following (and perhaps worrying about) the increasing dominance of the so-called Magnificent Seven; Nvidia, Microsoft and Meta were among the most significant contributors to excess returns.

But was the S&P 500 Momentum Index simply riding a multi-decade trend for outperformance in the largest of large caps, and if so, what might happen if those large caps fall out of favor? As a reminder, the index undergoes rebalancing twice a year, in March and September, which can change the constituent selection and their weights. Exhibit 4 shows the index-weighted average market capitalization (a measure of how “big,” on average, the companies in the index were) of the S&P 500 Momentum Index and The 500 as well as the S&P 500 Top 50 and the S&P 500 Equal Weight Index, for purposes of comparison.

The dynamic nature of the S&P 500 Momentum Index reveals that the index sometimes overweighted the largest constituents, while at other times, it did not. As of the latest data, the S&P 500 Momentum Index was slightly tilted, overall, toward smaller companies than its benchmark. The S&P 500 Momentum Index’s future performance will continue to be driven by the mechanics of its methodology and the qualities of its constituents.

Keep track of our monthly Factor Dashboard for more detailed stats on Momentum and other factors.

¹ More precisely, the index rebalances twice a year to comprise the top 100 stocks in the S&P 500 based their trailing 12 months risk-adjusted performance, weighted in inverse proportion to their volatility. The weighting is subject to single stock and sector constraints, and the risk and return of each constituent is measured with a lag. A full methodology is available here

² A formal “Brinson” attribution confirms the simpler approach used here, with 98.64% of return attributed to stock selection.

What’s driving S&P 500 Momentum performance? S&P DJI’s Dasha Selivanova discusses the important role constituent selection has played in Momentum’s performance run in this episode of The Market Measure.